{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	81
α ARCH Response to squared shocks	0.2008	3.27***
β GARCH Volatility persistence	0.8014	217.41***
γ leverage Additional response to negative shocks	-0.2008	-1.73*
λ₁ tau intercept Baseline long-term coefficient	0.5484	3.91***
λ₂ forecast adj. Forecast performance sensitivity	0.9734	3.76***
λ₃ tau persistence Long-term factor persistence	0.0166	0.78

V-Lab

Nidec Chaun-Choung Techno ILLIQ-MFMEM Liquidity Analysis

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